EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/27809
  
Title:Determinants of the relative price impact of unanticipated information in US macroeconomic releases PDF Logo
Authors:Hess, Dieter E.
Issue Date:2003
Series/Report no.:Arbeitsberichte der Hochschule für Bankwirtschaft 46
Abstract:This paper investigates the intraday response of T-bond futures prices to surprises in headline figures of U.S. macroeconomic reports. Analyzing the time series properties and the information content of the macroeconomic news flow, the paper seeks an answer to the question, what determines the relative price impact of releases. Several types of information regarding inflation and economic strength are distinguished and the explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of a release determines its impact.
Subjects:Macroeconomic releases
information processing
T-bond futures
JEL:E44
G14
G15
Persistent Identifier of the first edition:urn:nbn:de:101:1-2008072120
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

Files in This Item:
File Description SizeFormat
378769952.PDF380.85 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/27809

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.